There may be many reasons, but probably the most likely is a desire to remove foreign or seemingly unnatural objects from our bodies (think of the desire children have to fiddle with and pull out baby teeth once they start coming loose). Yes, scabs are part of us, but they have a distinctly different texture than the rest of our skin. As such, a desire to pull the scab away to reveal healthy, new skin beneath is natural and makes sense. The problem is sometimes we feel compelled to remove scabs before the healing process has completed, only revealing a bloody underside and starting the scabbing process over again.
I know some people pick at their scabs to relieve stress, like cutting. It is hard to understand unless you do it yourself.